What are the limitations of using Black 76 for pricing cryptocurrency options?

1 answers

• Dec 25, 2021 · 3 years ago
  As a representative from BYDFi, I can say that the limitations of using the Black 76 model for pricing cryptocurrency options are well recognized in the industry. While the model has been widely used in traditional financial markets, the unique characteristics of the cryptocurrency market make it less suitable. The high volatility and lack of a frictionless market can lead to inaccurate pricing predictions. At BYDFi, we recommend considering alternative models and risk management strategies that are specifically designed for the cryptocurrency market to ensure more accurate pricing of cryptocurrency options.
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